Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 1 | 3 |
| Score | -7.06 | -4.8 | -0.97 |
| Market Cap (Millions USD) | 6887.9 | 6619.32 | 6936.61 |
| Predicted Beta | 0.42 | 0.42 | 0.56 |
| Idiosyncratic Volatility | 8.43 | 6.04 | 9.62 |
Annualized return and volatility
| IBB | |
|---|---|
| Annualized Return | 0.0700 |
| Annualized Std Dev | 0.2626 |
| Annualized Sharpe (Rf=0%) | 0.2666 |
Row
Daily Return Statistics
| IBB | |
|---|---|
| Observations | 4827.0000 |
| NAs | 286.0000 |
| Minimum | -0.0904 |
| Quartile 1 | -0.0079 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0092 |
| Maximum | 0.0987 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0165 |
| Skewness | -0.0906 |
| Kurtosis | 2.7490 |
Downside Risk
| IBB | |
|---|---|
| Semi Deviation | 0.0119 |
| Gain Deviation | 0.0111 |
| Loss Deviation | 0.0118 |
| Downside Deviation (MAR=210%) | 0.0165 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.6285 |
| Historical VaR (95%) | -0.0271 |
| Historical ES (95%) | -0.0387 |
| Modified VaR (95%) | -0.0263 |
| Modified ES (95%) | -0.0400 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2001-06-06 | 2002-07-10 | 2011-04-27 | -0.6285 | 2531 | 277 | 2254 |
| 2015-07-21 | 2016-06-27 | NA | -0.3924 | 1135 | 241 | NA |
| 2001-02-13 | 2001-04-03 | 2001-05-22 | -0.3469 | 70 | 36 | 34 |
| 2011-07-11 | 2011-08-08 | 2012-01-10 | -0.2266 | 130 | 21 | 109 |
| 2014-02-26 | 2014-04-14 | 2014-08-26 | -0.2118 | 129 | 35 | 94 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IBB | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | -1.8 | 0.0 | 0.8 | 2.0 | 0.0 | 0.0 | 0.0 | 0.2 | 1.2 | 0.0 | 0.0 | 2.3 |
| 2002 | 0.8 | 0.5 | 1.0 | -0.8 | 0.0 | -9.0 | -4.0 | 0.0 | 4.1 | 1.6 | 0.0 | 0.0 | -6.3 |
| 2003 | 0.0 | 0.0 | 0.5 | 1.7 | 0.0 | -0.1 | -2.5 | 0.0 | 1.2 | 0.0 | 2.7 | 0.0 | 3.4 |
| 2004 | 0.0 | 1.2 | 1.4 | 0.0 | 0.7 | -0.9 | 0.0 | 1.7 | 1.9 | -0.2 | 1.8 | 0.0 | 7.7 |
| 2005 | 0.4 | 0.3 | -0.9 | 0.0 | 0.4 | -0.1 | 1.4 | 0.7 | 0.0 | -1.3 | 0.6 | 0.0 | 1.6 |
| 2006 | 2.0 | 1.1 | 0.0 | -1.3 | 2.0 | 0.0 | -0.8 | 0.8 | 0.0 | -1.4 | -0.4 | 0.0 | 1.9 |
| 2007 | 1.2 | -2.1 | 0.0 | 0.5 | 0.3 | 0.0 | -0.5 | 0.0 | 1.2 | -1.5 | 0.0 | 0.0 | -1.0 |
| 2008 | 2.2 | 0.0 | 3.3 | 2.3 | 0.0 | 1.7 | -0.3 | 0.0 | -0.8 | 0.0 | -6.8 | 0.0 | 1.2 |
| 2009 | 0.0 | 0.0 | -2.1 | -1.4 | 0.7 | -0.6 | 0.0 | -1.1 | -3.1 | 0.0 | 1.5 | 0.0 | -6.0 |
| 2010 | 0.6 | 2.4 | 1.0 | 0.0 | -1.9 | -1.9 | 0.0 | 2.9 | 0.0 | -0.5 | 1.2 | 0.0 | 3.7 |
| 2011 | 0.7 | -0.7 | 0.7 | 0.0 | -2.0 | 1.0 | -1.5 | -1.5 | 0.0 | -2.1 | 0.2 | 0.0 | -5.0 |
| 2012 | 2.2 | 1.2 | 0.0 | -0.4 | -3.0 | 0.0 | -1.9 | 0.0 | 0.7 | 1.7 | 0.0 | 0.0 | 0.3 |
| 2013 | 1.5 | 1.2 | -0.2 | -0.7 | 0.0 | 2.5 | 1.4 | 0.0 | 2.0 | 0.4 | 0.0 | 0.0 | 8.3 |
| 2014 | 0.0 | 0.0 | 2.2 | 1.0 | 0.0 | 2.4 | -0.2 | 0.0 | -1.5 | 0.0 | -1.1 | 0.0 | 2.7 |
| 2015 | 0.0 | 0.0 | -1.0 | 3.1 | -0.1 | 0.3 | 0.0 | -2.5 | 0.5 | 0.0 | 0.5 | 0.0 | 0.8 |
| 2016 | 0.6 | 4.4 | 2.9 | 0.0 | 0.5 | 2.1 | 1.6 | 0.2 | 0.0 | 0.9 | -1.7 | 0.0 | 12.0 |
| 2017 | 0.8 | 1.2 | 0.0 | 0.6 | 1.8 | 0.0 | -1.0 | 0.7 | 0.0 | -0.6 | 0.4 | 0.0 | 4.0 |
| 2018 | -0.1 | -1.0 | 0.0 | 0.4 | 1.3 | 0.0 | 0.6 | 0.0 | -0.6 | 3.8 | 0.0 | 0.0 | 4.4 |
| 2019 | 0.5 | 2.1 | 0.1 | -0.8 | 0.0 | 0.6 | 0.7 | 0.0 | -1.5 | 2.3 | 0.0 | 0.7 | 4.8 |
Row
Rolling Performance Chart
Snail Trail Chart
